Yes, listen to these ladies, they are wise.
While competitions do vary and judges vary, generally speaking, no, they do not criticize you to your face, nor should they. That is bad judging ethics, and if you did encounter that at a convention masquerade, you should inform the director, and if the director doesn't care, don't patronize that masquerade ever again.
But a good competition with good judges will make you feel welcome. Yes, they will inspect your costume, because they want to get a good look and weigh what they're seeing against your personal skill level and what you're telling them about your costume. If it's genuinely your first self-made costume, you're in Novice class and novices are not expected to be the height of perfection. It's not that certain things will skate by for a novice, but that the judges should not expect the same kinds of construction and finishing techniques as they would out of a Master. They'll take that into account. They will understand! Because judges were novices once, too, and they know what it's like to work your way up from your first costume.
A handy tip I like to pass along is, don't focus on the negatives. If you have any flaws or mistakes, don't call attention to them. Trust us, it's not egotistic to only say good things about yourself - in this case, attempting to be modest and saying you have flaws only calls attention to them so that the judges would have to mark you down for it. If the judges don't notice a mistake, that's a good thing! It means the rest of your costume is good enough to compensate for it. Focus on the good things, like what you learned in the process of making this costume, any problems you had to solve, anything you're really proud of, etc. It helps for those times when you're nervous - go ahead and brag about the parts of the costume you love, it helps the judges to also focus on the good things.
Founder and Vice-President, Madison Area Costuming Society, a chapter of the International Costumer's Guild
Strange Land Costuming - www.strangelandcostumes.com